Twenty years of linear programming based portfolio optimization
From MaRDI portal
Publication:2514724
DOI10.1016/j.ejor.2013.08.035zbMath1304.91202OpenAlexW2165129372MaRDI QIDQ2514724
Publication date: 3 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.08.035
surveytransaction costsexact and heuristic algorithmsreal featuresLP computable mean-risk and mean-safety models
Linear programming (90C05) Financial applications of other theories (91G80) Portfolio theory (91G10)
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Uses Software
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